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An AR(2) process can be written as yt = + 1(yt1 ) + 2(yt2 ) + t For each of the following examples,
i) draw the F matrix, ii) compute the eigenvalues of the F matrix and give the moduli of the
eigenvalues if they are complex valued, iii) state whether or not the process is covariance
stationary, iv) state whether or not the process can be written in Wold form, and v) comment
intuitively on why it either makes sense that the process would converge or blow up, given the
values of the s. a) 1 = 1.5 and 2 = 0.5 b) 1 = .2 and 2 = 0.6

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An AR2 process can be written as yt + 1yt1 + 2yt.pdf

  • 1. An AR(2) process can be written as yt = + 1(yt1 ) + 2(yt2 ) + t For each of the following examples, i) draw the F matrix, ii) compute the eigenvalues of the F matrix and give the moduli of the eigenvalues if they are complex valued, iii) state whether or not the process is covariance stationary, iv) state whether or not the process can be written in Wold form, and v) comment intuitively on why it either makes sense that the process would converge or blow up, given the values of the s. a) 1 = 1.5 and 2 = 0.5 b) 1 = .2 and 2 = 0.6